The shop directory is an item located somewhere in the shopping district of each of the four main cities, as well as Delos. You can find it easily by doing PATH FIND SHOPS while standing in the city.

You can interact with the directory by doing DIRECTORY <item>. This will search all shops in the city for the specific item, letting you know where they are, who sells it, and the price. You can further filter down these results by doing DIRECTORY <item> UNDER <price>, to list only items at the specified price, or below it.